Related papers: Minimax identity with robust utility functional fo…
In this paper we study the regularity of the local minima of integral functionals: in particular, not convexity (quasi-convexity, policonvexity or rank one convexity) hypothesis will be made on the density, neither structure hypothesis nor…
In the general framework of a semimartingale financial model and a utility function $U$ defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a ``small'' number of random…
In this paper, we present two completely uncoupled algorithms for utility maximization. In the first part, we present an algorithm that can be applied for general non-concave utilities. We show that this algorithm induces a perturbed (by…
The problem of minimizing the difference of two convex functions is called polyhedral d.c. optimization problem if at least one of the two component functions is polyhedral. We characterize the existence of global optimal solutions of…
We prove that the smallest minimizer s(f) of a real convex function f is less than or equal to a real point x if and only if the right derivative of f at x is non-negative. Similarly, the largest minimizer t(f) is greater or equal to x if…
Given a strictly positive measure, we characterize inner semicontinuous solid convex-valued mappings for which continuous functions which are selections almost everywhere are selections. This class contains continuous mappings as well as…
We analyze the performance of alternating minimization for loss functions optimized over two variables, where each variable may be restricted to lie in some potentially nonconvex constraint set. This type of setting arises naturally in…
Results on the upper and lower semicontinuity of functionals defined on spaces of convex and more general functions are established. In particular, the following result is obtained. Let $\phi(v; \cdot)$ be the density of the absolutely…
We study the variable metric forward-backward splitting algorithm for convex minimization problems without the standard assumption of the Lipschitz continuity of the gradient. In this setting, we prove that, by requiring only mild…
This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin utility, duality between the primal and dual problems is…
In recent years, nonconvex minimax problems have attracted significant attention due to their broad applications in machine learning, including generative adversarial networks, robust optimization and adversarial training. Most existing…
In this article, we consider minimal $L^2$ integrals on the sublevel sets of plurisubharmonic functions on weakly pseudoconvex K\"ahler manifolds with Lebesgue measurable gain related to modules at boundary points of the sublevel sets, and…
The concept of convex compactness, weaker than the classical notion of compactness, is introduced and discussed. It is shown that a large class of convex subsets of topological vector spaces shares this property and that is can be used in…
For a class of discrete quasi convex functions called semi-strictly quasi M$^\natural$-convex functions, we investigate fundamental issues relating to minimization, such as optimality condition by local optimality, minimizer cut property,…
In this paper, we study the approximation of an unknown quasiconcave function based on limited partial information. Available information includes lower bounds on the values of the target function at a specified set of points, as well as…
The aim of this paper is to present an original approach that takes advantage from the geometric features of strictly convex functions to tackle the problem of finding the minimum from another perspective. The general idea is that near the…
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily…
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…
In this paper, we investigate the network utility maximization problem in FDMA systems. We summarize with a suite of criteria on designing utility functions so as to achieve the global optimization convex. After proposing the general form…
We study a class of convex-concave min-max problems in which the coupled component of the objective is linear in at least one of the two decision vectors. We identify such problem structure as interpolating between the bilinearly and…